It is impossible. The SDK does not support it this way, you should create them one by one.
A issue has already submitted here.
If you wanna create them one by one, you can use the following sample code:
static void NestedDirectoriesTest()
{
var cred = new StorageCredentials(accountName, accountKey);
var account = new CloudStorageAccount(cred, true);
var client = account.CreateCloudFileClient();
var share = client.GetShareReference("temp2");
share.CreateIfNotExists();
var cloudFileDirectory = share.GetRootDirectoryReference();
//Specify the nested folder
var nestedFolderStructure = "Folder/SubFolder";
var delimiter = new char[] { '/' };
var nestedFolderArray = nestedFolderStructure.Split(delimiter);
for (var i=0; i<nestedFolderArray.Length; i++)
{
cloudFileDirectory = cloudFileDirectory.GetDirectoryReference(nestedFolderArray[i]);
cloudFileDirectory.CreateIfNotExists();
Console.WriteLine(cloudFileDirectory.Name + " created...");
}
}